<t>The only Miracle in Baltimore that I know of is the way the city of Baltimore has risen from the depths of suburban flight, seedy porno districts and rampart crime to a model of urban revival. I grew up in Baltimore and the city has a long way to go, but if you look of the areas of Fell's Point a...

Thanks and I appreciate your patience.

So, what you are saying is that CDS PnL calculations have three components: spread change, carry, and funding.

I might be mistaken, but I do recall a Looney Tune character named Pepe Le Pooh. If Pierre Le Fou exists, I would suggest contacting Pepe first. From my history classes, I do know that Le Fou and Le Pooh usually come together.Cheers.

<t>I have a strategy which utilizes single-name and index credit default swaps that requires backtesting. Looking at relative performance levels, I want to first measure returns on a daily basis. A CDS generates either positive or negative PnL from both its spread change and its cost of carry. This ...

<t>I have it from a very reliable source that Fidel has bought a condo on South Beach. He plans to spend his retirement by playing golf and possibly taking up scuba diving. Although the South Florida "exiles" would love to have him join them in their struggle, I hope that he just rests and relaxes. ...

On the first day of issue, a fixed premium is decided for the whole index based on the credit spread of the entities in the index. Does anyone know the methodology that is used to determine this fixed premium?

Thanks for the response Noel:I am hoping not to make an adjustment factor based on the underlying single-names but I understand your reasoning, similar to that of the Dow Jones Index.I will take a better look and reply to this thread once I have an answer.

<t>In the credit market, CDS indicies are on-the-run (OTR) for 6 months till a newer series becomes the new OTR series. We have some trades based on the negative correlation between credit and equity indicies. Obviously, equity indicies, say SPX, are continuous and one- and five-year time histories ...

<t>Can anyone recommend good articles on pricing convertible bonds and determining associated Greeks?More specifically, I use a one-factor PDE model and I have looked at the Bloomberg Standard model. I would love to get an article on the Bloomberg model(s) and compare my model with theirs.In advance...

I remember reading somewhere in this forum about self-publishing. I have a book in the works, about 60% complete. I was wondering if anyone can explain the merits and pitfalls of self-publishing. Thanks.

Thanks MattF. I did just as you suggested.

Yes, I am talking about exchange traded options.I checked CBOE and inituitively, the rules can be determined, however, I would love to see in print, so that I can program it.Thanks again.

Based on an Equity's schedule, current price, and current date, one should be able to determine (programmatically) the currently traded equity options. Does anyone know where the exact rules are regarding this, or better yet, if someone has some code, can they pass it along.Thanks.

To all the fathers,Happy Father's Day!!!